Find the VAR for a portfolio of $100M with daily standard deviation on return of 0.5% over 30-day period.Note: z_1% = 2.326 A) Below $5M B) Between $5M and $10M C) Between $10M and $20M D) Above $20M

Name: Find the VAR for a portfolio of $100M with daily standard deviation on return of 0.5% over 30-day period.Note: z 1% = 2.326 A) Below $5M B) Between $5M and $10M C) Between $10M and $20M D) Above $20M
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Quizplus · Accepted Answer

VAR = $100M X 2.326 X 0.005 X SQRT(30) = $6.37M

Find the VAR for a Portfolio of $100M with Daily